European Monetary Union, the Term Structure, and the Lucas Critique
研究了欧元诞生前后12个OECD国家的利率期限结构是否发生结构性变化，发现多数欧洲货币联盟国家行为方程稳定，但德国存在显著不稳定，表明卢卡斯批判在分析欧洲货币联盟影响时具有相关性。
In order to evaluate the empirical relevance of the Lucas Critique, we investigate whether the term structure (the relation of the long interest rate to the short interest rate) showed structural change as the deadline for the euro came closer. Our empirical analysis of the term structures (yield curves) in 12 OECD countries uncovers that econometrically estimated behavioural equations for most EMU countries were stable even in the light of the creation of the euro. This finding would seem to defy the Lucas Critique. However, the significant structural instability found for the euro area's core country, Germany, suggests that the Lucas Critique is relevant in the analysis of the impact of the creation (and future extensions) of EMU. Preliminary versions of this paper were presented at the ECB workshop on yield curve modelling, Frankfurt (1999) and the Finance Seminar at the University of Zurich (2000). Comments by participants of both workshops and by two anonymous referees are gratefully acknowledged.